Local Times and Excursion Theory for Brownian Motion : A Tale of Wiener and Itô Measures / by Ju-Yi Yen, Marc Yor.

Format:

Book

Author/Creator:

Yen, Ju-Yi, author.

Yor, Marc, author.

Contributor:

SpringerLink (Online service)

Series:

Lecture Notes in Mathematics, 0075-8434 ; 2088.

Lecture Notes in Mathematics, 0075-8434 ; 2088

Language:

English

Subjects (All):

Distribution (Probability theory).

Probability Theory and Stochastic Processes.

Local Subjects:

Probability Theory and Stochastic Processes.

Physical Description:

1 online resource (IX, 135 pages 9 illustrations, 8 illustrations in color).

Contained In:

Springer eBooks

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2013.

System Details:

text file PDF

Summary:

This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.

Contents:

Prerequisites

Local times of continuous semimartingales

Excursion theory for Brownian paths

Some applications of Excursion Theory

Index.

Other Format:

Printed edition:

ISBN:

9783319012704

Access Restriction:

Restricted for use by site license.